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New tests for jumps in semimartingale models. (2010). Podolskij, Mark ; Ziggel, D..
In: Statistical Inference for Stochastic Processes.
RePEc:spr:sistpr:v:13:y:2010:i:1:p:15-41.

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  1. Systemic risk monitoring model from the perspective of public information arrival. (2024). Zhu, Xingting ; Liu, Bin ; Yan, Han ; Wu, Yan.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664.

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  2. Information shocks, market returns and volatility: a comparative analysis of developed equity markets in Asia. (2023). Khan, Muhammad Zeb ; Ahmed, Shakeel ; Maqsood, Huma ; Zada, Hassan.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00417-w.

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  4. Modeling and managing stock market volatility using MRS-MIDAS model. (2022). Wang, Jiqian ; Lu, Xinjie ; Chen, Wang.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:82:y:2022:i:c:p:625-635.

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  5. Tests for jumps in yield spreads. (2021). Yao, Wenying ; Winkelmann, Lars.
    In: Discussion Papers.
    RePEc:zbw:fubsbe:202115.

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  6. Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market. (2021). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:7:p:1055-1073.

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  7. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2021). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:3:p:416-438.

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  8. Do Jumps Matter in Both Equity Market Returns and Integrated Volatility: A Comparison of Asian Developed and Emerging Markets. (2021). Wong, Wing-Keung ; Hassan, Arshad ; Zada, Hassan.
    In: Economies.
    RePEc:gam:jecomi:v:9:y:2021:i:2:p:92-:d:576215.

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  9. Forecasting volatility using double shrinkage methods. (2021). Cheng, Mingmian ; Yang, Xiye ; Swanson, Norman R.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:62:y:2021:i:c:p:46-61.

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  10. Cojump anchoring. (2020). Yao, Wenying ; Winkelmann, Lars.
    In: Discussion Papers.
    RePEc:zbw:fubsbe:202017.

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  11. High-Frequency Jump Tests: Which Test Should We Use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2020-3.

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  12. High-frequency jump tests: Which test should we use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:219:y:2020:i:2:p:478-487.

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  13. Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang.
    In: Papers.
    RePEc:arx:papers:2011.04939.

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  14. Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence. (2019). Swanson, Norman ; Cheng, Mingmian.
    In: Econometrics.
    RePEc:gam:jecnmx:v:7:y:2019:i:1:p:13-:d:213518.

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  15. Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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  16. Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO.
    In: Papers.
    RePEc:arx:papers:1912.07165.

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  17. Trading Volume, Illiquidity and Commonalities in FX Markets. (2018). Santucci de Magistris, Paolo ; Ranaldo, Angelo.
    In: Working Papers on Finance.
    RePEc:usg:sfwpfi:2018:23.

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  18. Cojumps and Asset Allocation in International Equity Markets. (2018). Nguyen, Duc Khuong ; M'SADDEK, Oussama ; Pukthuanthong, Kuntara ; Msaddek, Oussama ; el Hedi, Mohamed.
    In: MPRA Paper.
    RePEc:pra:mprapa:89938.

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  19. Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2018-17.

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  20. Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree.
    In: Papers.
    RePEc:arx:papers:1708.09520.

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  21. Bootstrapping high-frequency jump tests. (2017). Goncalves, Silvia ; Dovonon, Prosper ; Meddahi, Nour ; Hounyo, Ulrich.
    In: TSE Working Papers.
    RePEc:tse:wpaper:31740.

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  22. Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2017-14.

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  23. Bootstrapping high-frequency jump tests. (2017). Goncalves, Silvia ; Dovonon, Prosper ; Meddahi, Nour ; Hounyo, Ulrich.
    In: IDEI Working Papers.
    RePEc:ide:wpaper:31735.

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  24. Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591.

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  25. Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

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  26. Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Muniainy, Peru ; Ciarreta, Aitor.
    In: ISER Discussion Paper.
    RePEc:dpr:wpaper:0991.

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  27. Systemic co-jumps. (2016). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Alexey .
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:149.

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  28. Jumps and Information Asymmetry in the US Treasury Market. (2016). Urga, Giovanni ; DUMITRU, ANA-MARIA.
    In: EconStor Preprints.
    RePEc:zbw:esprep:130148.

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  29. Bootstrapping high-frequency jump tests. (2016). Goncalves, Silvia ; Dovonon, Prosper ; Meddahi, Nour ; Hounyo, Ulrich ; Gonalves, Silvia.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2016s-24.

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  30. The economic value of volatility timing with realized jumps. (2015). Nolte, Ingmar ; Xu, QI.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:34:y:2015:i:c:p:45-59.

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  31. Econometrics of co-jumps in high-frequency data with noise. (2015). Winkelmann, Lars ; Bibinger, Markus.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:184:y:2015:i:2:p:361-378.

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  32. Multi-jumps. (2014). Renò, Roberto ; Caporin, Massimiliano ; Kolokolov, Aleksey ; Reno, Roberto.
    In: MPRA Paper.
    RePEc:pra:mprapa:58175.

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  33. Multi-jumps. (2014). Renò, Roberto ; Caporin, Massimiliano ; Kolokolov, Aleksey.
    In: Marco Fanno Working Papers.
    RePEc:pad:wpaper:0185.

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  34. System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies. (2014). Gnabo, Jean-Yves ; Hvozdyk, Lyudmyla ; Lahaye, Jerome .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:48:y:2014:i:pa:p:147-174.

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  35. Cojumps in stock prices: Empirical evidence. (2014). Shackleton, Mark ; Gilder, Dudley ; Taylor, Stephen J..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:40:y:2014:i:c:p:443-459.

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  36. Quantitative forward guidance and the predictability of monetary policy - A wavelet based jump detection approach -. (2013). Winkelmann, Lars.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-016.

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  37. Asymptotics for functionals of self-normalized residuals of discretely observed stochastic processes. (2013). Masuda, Hiroki.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:7:p:2752-2778.

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    RePEc:eee:econom:v:160:y:2011:i:1:p:280-287.

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  43. Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices. (2011). Varneskov, Rasmus Tangsgaard .
    In: CREATES Research Papers.
    RePEc:aah:create:2011-35.

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  44. Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence. (2010). Hautsch, Nikolaus ; Podolskij, Mark.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:201017.

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  45. Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets. (2010). Veredas, David ; Gallo, Giampiero ; Brownlees, Christian ; Barigozzi, Matteo.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2010_06.

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  46. Bipower-type estimation in a noisy diffusion setting. (2009). Podolskij, Mark ; Vetter, Mathias .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:119:y:2009:i:9:p:2803-2831.

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  47. The relationship between the volatility of returns and the number of jumps in financial markets. (2009). Cartea, Álvaro ; Karyampas, Dimitrios .
    In: DEE - Working Papers. Business Economics. WB.
    RePEc:cte:wbrepe:wb097508.

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  48. The Relationship Between the Volatility of Returns and the Number of Jumps in Financial Markets. (2009). Cartea, Álvaro ; Karyampas, Dimitrios .
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0914.

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  49. On the correlation structure of microstructure noise in theory and practice. (2008). Strasser, Georg ; Diebold, Francis.
    In: CFS Working Paper Series.
    RePEc:zbw:cfswop:200832.

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  50. Does the open limit order book matter in explaining long run volatility ?. (2006). Veredas, David ; PASCUAL, ROBERTO.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:2006110.

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